Estimating the Link Function in Multinomial Response Models under Endogeneity and Quadratic Loss
This paper considers estimation and inference for the multinomial response model in the case where endogenous variables are arguments of the unknown link function. Semiparametric estimators are proposed that avoid the parametric assumptions underlying the likelihood approach as well as the loss of precision when using nonparametric estimation. A data based shrinkage estimator that seeks an optimal combination of estimators and results in superior risk performance under quadratic loss is also developed.
|Date of creation:||03 Feb 2004|
|Date of revision:|
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- Mittelhammer, Ronald C. & Judge, George G. & Schoenberg, Ron, 2003.
"Empirical evidence concerning the finite sample performance of El-type structural equation estimation and inference methods,"
CUDARE Working Paper Series
945, University of California at Berkeley, Department of Agricultural and Resource Economics and Policy.
- Mittelhammer, Ron C & Judge, George G. & Schoenberg, Ron, 2003. "Empirical Evidence Concerning the Finite Sample Performance of EL-Type Structural Equation Estimation and Inference Methods," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt2xm0n02g, Department of Agricultural & Resource Economics, UC Berkeley.
- Judge, George G. & Mittelhammer, Ron C, 2003.
"A Semi-Parametric Basis for Combining Estimation Problems Under Quadratic Loss,"
Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series
qt8z25j0w3, Department of Agricultural & Resource Economics, UC Berkeley.
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- Judge, George G. & Mittelhammer, Ronald C, 2003. "A semi-parametric basis for combining estimation problems under quadratic loss," CUDARE Working Paper Series 948, University of California at Berkeley, Department of Agricultural and Resource Economics and Policy.
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Econometric Society, vol. 61(2), pages 387-421, March.
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- Ahn, Hyungtaik & Powell, James L., 1993. "Semiparametric estimation of censored selection models with a nonparametric selection mechanism," Journal of Econometrics, Elsevier, vol. 58(1-2), pages 3-29, July.
- Train,Kenneth E., 2009.
"Discrete Choice Methods with Simulation,"
Cambridge University Press, number 9780521766555, September.
- Mittelhammer, Ron C. & Judge, George G., 2005. "Combining estimators to improve structural model estimation and inference under quadratic loss," Journal of Econometrics, Elsevier, vol. 128(1), pages 1-29, September.
- Hong, Han & Tamer, Elie, 2003. "Endogenous binary choice model with median restrictions," Economics Letters, Elsevier, vol. 80(2), pages 219-225, August.
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